[Rd] Wrongly converging glm()

[Mark Leeds]

Hi Ravi: Well said. In John's Rvmmin package, he has codes for explaining
the cause
of the termination. The codes returned were fine. The problem was that
the model I was using could have multiple solutions ( regardless of the data
sent in ) so, even though the stopping criteria was reached, it turned out
that one of the parameters ( there were two parameters ) could have really
been anything and the same likelihood value would  be returned. So, what I
learned the hard way was  termination due to reasonable stopping  criteria
DOES NOT NECESSARILY EQUAL OPTIMAL. But I lived in the dark about this for
a long time and only happened to notice it when playing around with the
likelihood by fixing the offending parameter to various values and
optimizing over the
non-offending parameter. Thanks for eloquent explanation.


      Mark




























On Fri, Jul 21, 2017 at 9:22 AM, Ravi Varadhan <ravi.varadhan at jhu.edu>
wrote:

> Please allow me to add my 3 cents.  Stopping an iterative optimization
> algorithm at an "appropriate" juncture is very tricky.  All one can say is
> that the algorithm terminated because it triggered a particular stopping
> criterion.  A good software will tell you why it stopped - i.e. the
> stopping criterion that was triggered.  It is extremely difficult to make a
> failsafe guarantee that the triggered stopping criterion is the correct one
> and that the answer obtained is trustworthy. It is up to the user to
> determine whether the answer makes sense.  In the case of maximizing a
> likelihood function, it is perfectly reasonable to stop when the algorithm
> has not made any progress in increasing the log likelihood.  In this case,
> the software should print out something like "algorithm terminated due to
> lack of improvement in log-likelihood."  Therefore, I don't see a need to
> issue any warning, but simply report the stopping criterion that was
> applied to terminate the algorithm.
>
> Best,
> Ravi
>
> -----Original Message-----
> From: R-devel [mailto:r-devel-bounces at r-project.org] On Behalf Of
> Therneau, Terry M., Ph.D.
> Sent: Friday, July 21, 2017 8:04 AM
> To: r-devel at r-project.org; Mark Leeds <markleeds2 at gmail.com>;
> jorismeys at gmail.com; westra.harmjan at outlook.com
> Subject: Re: [Rd] Wrongly converging glm()
>
> I'm chiming in late since I read the news in digest form, and I won't copy
> the entire conversation to date.
>
> The issue raised comes up quite often in Cox models, so often that the
> Therneau and Grambsch book has a section on the issue (3.5, p 58).  After a
> few initial iterations the offending coefficient will increase by a
> constant at each iteration while the log-likelihood approaches an asymptote
> (essentially once the other coefficients "settle down").
>
> The coxph routine tries to detect this case and print a warning, and this
> turns out to be very hard to do accurately.  I worked hard at tuning the
> threshold(s) for the message several years ago and finally gave up; I am
> guessing that the warning misses > 5% of the cases when the issue is true,
> and that 5% of the warnings that do print are incorrect.
> (And these estimates may be too optimistic.)   Highly correlated
> predictors tend to trip
> it up, e.g., the truncated power spline basis used by the rcs function in
> Hmisc.
>
> All in all, I am not completely sure whether the message does more harm
> than good.  I'd be quite reluctant to go down the same path again with the
> glm function.
>
> Terry Therneau
>
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